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ACT 7105 - Econometrics

This course covers advanced statistical tools and techniques used in empirical economic research and independent research projects, including regression, instrumental variables, simultaneous equation models, and policy evaluation. The course objectives are to emphasize both theoretical and practical applications of econometric models, develop a solid theoretical foundation in introductory econometrics, and improve ability to implement techniques and critique empirical studies. By the end, students will have an advanced understanding of causal inference and ability to compare, implement, and interpret different methods to estimate causal effects.

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33 views2 pages

ACT 7105 - Econometrics

This course covers advanced statistical tools and techniques used in empirical economic research and independent research projects, including regression, instrumental variables, simultaneous equation models, and policy evaluation. The course objectives are to emphasize both theoretical and practical applications of econometric models, develop a solid theoretical foundation in introductory econometrics, and improve ability to implement techniques and critique empirical studies. By the end, students will have an advanced understanding of causal inference and ability to compare, implement, and interpret different methods to estimate causal effects.

Uploaded by

r.h.anik1596
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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ACT 7105: Econometrics

Course Description/ Rationale:


This course covers the statistical tools needed to understand empirical economic research and
to plan and execute independent research projects. Topics include statistical inference,
regression, generalized least squares, instrumental variables, simultaneous equations models,
and evaluation of government policies and programs.

Course Objective:
This course is designed to fulfill the following objectives.
a) To emphasize both the theoretical and the practical aspects of statistical analysis,
focusing on techniques for estimating econometric models of various kinds and for
conducting tests of hypotheses of interest to economists.
b) To help the students to develop a solid theoretical background in introductory level
econometrics
c) To improve the ability to implement the techniques and to critique empirical studies in
economics.

Learning Outcomes:
The aim of this course is to give students advanced practice of how to conduct empirical
economic research. After the completion of the course, students should have an advanced
understanding of causal inference, and be able to compare, implement and interpret different
methods used to estimate causal effects.

Course Contents:

1. Review of Elementary Issues of Econometrics: An Overview of Basic Econometrics,


Concept of Correlation; Regression – simple & multiple, Ordinary Least Square (OLS)
Method, etc.
2. Multiple Linear Regression Model: Meaning of Multiple Regression, Statistical
Assumptions of Multiple Linear Regression Model, Estimation Methods of Multiple
Regression Model, Properties of Least Square Estimator, Gauss Markov Theorem, Hypothesis
Testing, Confidence Intervals of Estimators, Coefficient of Determination, Goodness of Fit,
Application of Numerical Problems.
3. Multi-variables in Non-linear Regression Model: Multiple Variables in Non-linear
Relationship, Cobb-Douglas Production Function, Demand Function, Supply Function, Fitting
of Cobb-Douglas Production Function, Demand Function and Supply Function, Practical
Problems.
4. Problems of Single Equation Model in Case of Multiple Linear Regression Model:
Hetero-scedasticity: Meaning of Hetero-scedasticity, Nature & Sources of Hetero-scedasticity,
Test for Detecting the Presence of Hetero-scedasticity, Consequences of Using OLS in the
Presence of Hetero-scedasticity, Estimation Techniques of a Hetero-scedastic Model,
Application to Problems.
5. Autocorrelation: Meaning of Autocorrelation, Nature and Causes of Autocorrelation, Effect
of Auto-correlation, Properties of Least Squares Estimators in Case of Autocorrelation, Test
for Detecting the Presence of Autocorrelation, Estimation of a Auto-correlated Model.
6. Multi-collinearity: The Nature of Multicollinearity, Nature and Sources of
Multicollinearity, Consequences of Multicollinearity, Test for Detecting the Presence of
Multicollinearity, Estimation Methods, and Application of Numerical Problems.
7. Hypothesis Testing: LM, LR and Wald Tests, Testing linear restrictions, Tests of Structural
change, Test of model statistic, Some Concrete Examples and Application in Business.
8. Selection of a Best Regression Equation: Meaning of Selection of a Best Regression
Equation, Procedures of Selecting a Best Regression Equation, and Applications.
9. Time Series Econometrics: Stationarity, Non-Stationarity, Random Walk Model, White
Noise Process, AR Processes, MA Processes, ARMA Processes, ARCH Model, GARCH
Model, VAR Model, and Application to Business Problems.
10. Unit-Root Problems: Stochastic Process, Brownian motion, Unit Root Tests, Dickey-
Fuller Tests, Augmented Dickey-Fuller Tests & Phillips-Perron Tests, Application to Business.
11. Co-integration Analysis: Meaning of Co-integration, Error Correction Model, Causality
and Vector Autoregressive Model, VECM Model, ARIMA Model, GMM, Application to
Business Problems.
12. Discrete Choice Models : Logit and Probit Models, Estimation, Testing & Goodness of
fit, Ordered Probit Models, Conditional and Nested Logit Model, and Application to Business.
13. Limited Dependent Variables: Truncated Distribution, Tobit Model, Selection Model and
Application to Business Problems.
14. Panel Data Models: Fixed Effects Model, Random Effects Model & Practical Problems.

Recommended Textbooks:
1. Jeffrey M. Wooldridge, “Introductory Econometrics: A Modern Approach”, 5th edition,
South-Western College Pub.

Reference Books:
1. James H. Stock and Mark W. Watson, “Introduction to Econometrics”, 3rd edition,
Prentice Hall.

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